In some guides it says there is a blue protective strip of tape on the heatsink. On the P4's Heat sink, it's just a black square. Is there anything I have to remove, or do I just install it like it is?
More aboutthermal tape heat sink
Nothing to remove on the stock p4 heatsink. Just install it once, and leave it alone. Your temps should range from about 35-55 celcius, depending on the load and room temp.
If your smart enough to peel off that piece off crap and put some arctic lilver on there. you will be much better off.